On the impact of infrequent trading on the APT systematic risk components – evidence from a thin security market

On the impact of infrequent trading on the APT systematic risk components – evidence from a thin security market

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Article ID: iaor19982272
Country: Netherlands
Volume: 88
Issue: 1
Start Page Number: 23
End Page Number: 27
Publication Date: Jan 1996
Journal: European Journal of Operational Research
Authors: , , ,
Keywords: Finland
Abstract:

The purpose of this note is to analyze the effects to infrequent trading on the APT systematic risk components using Finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns.

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